Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0263 |
| Annualized Std Dev | 0.2924 |
| Annualized Sharpe (Rf=0%) | -0.0899 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4252.0000 |
| NAs | 1.0000 |
| Minimum | -0.2009 |
| Quartile 1 | -0.0047 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0059 |
| Maximum | 0.3964 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0184 |
| Skewness | 1.8508 |
| Kurtosis | 89.5339 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0131 |
| Gain Deviation | 0.0158 |
| Loss Deviation | 0.0168 |
| Downside Deviation (MAR=210%) | 0.0170 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.7487 |
| Historical VaR (95%) | -0.0183 |
| Historical ES (95%) | -0.0430 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-12 | 2009-03-09 | NA | -0.7487 | 3511 | 481 | NA |
| 2005-10-05 | 2005-12-29 | 2006-09-01 | -0.1877 | 230 | 60 | 170 |
| 2004-06-01 | 2004-07-27 | 2004-12-14 | -0.1504 | 137 | 39 | 98 |
| 2006-12-27 | 2007-01-18 | 2007-04-04 | -0.1331 | 67 | 14 | 53 |
| 2005-03-08 | 2005-05-13 | 2005-06-17 | -0.0778 | 72 | 48 | 24 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | 0 | -1.2 | 1.2 | 0.3 | 2 | 0.7 | 0 | 0 | -0.9 | 2 |
| 2005 | 0.7 | 0.2 | 0 | 0.7 | 0.4 | 0.8 | -0.1 | 2.3 | 0.7 | -0.6 | 0.1 | 1 | 6.4 |
| 2006 | 0.9 | -0.2 | 1.2 | -0.1 | 0.7 | 0.7 | -0.4 | 1 | 0.9 | 0.1 | -1 | -0.6 | 3.1 |
| 2007 | 0.9 | -1.6 | 0.1 | 0.5 | 0.5 | 1.5 | -0.1 | 1 | 1 | -0.5 | 1.7 | 1.9 | 7.1 |
| 2008 | -0.6 | -1.4 | 1.9 | 1 | -0.1 | -0.1 | -1 | 1.3 | 4.3 | 2.7 | -6.8 | 6.1 | 7 |
| 2009 | -2 | -4 | 0.2 | 2.1 | -0.5 | 1.8 | 0.2 | -2.2 | -0.3 | -5.9 | 2 | 0.4 | -8.3 |
| 2010 | 1.6 | 1.7 | 2.5 | -0.7 | -2 | 0.2 | -0.1 | 1.4 | 0.7 | 0.2 | 0.7 | 0 | 6.3 |
| 2011 | 1.2 | -1.1 | 0.4 | 0.7 | -0.4 | 0.5 | 1.1 | 0 | -1.7 | -0.7 | 0 | -0.1 | -0.2 |
| 2012 | 1.5 | 1.8 | 0.1 | 0.9 | -0.7 | 1.4 | 0.5 | -0.5 | 0.3 | -0.3 | 0.4 | 1.3 | 6.8 |
| 2013 | 0.1 | 0.3 | -0.8 | -0.9 | 1.1 | 1.7 | 0.2 | 0.8 | 1.6 | 0.9 | 0 | 0.3 | 5.4 |
| 2014 | -0.3 | 0.3 | 0 | 0.6 | 0.2 | 0 | -0.7 | 0.4 | -0.5 | -0.2 | -2.5 | 0.1 | -2.6 |
| 2015 | -1.5 | 0.1 | -0.1 | 1 | -0.5 | 0.9 | 0.6 | -0.9 | 0.2 | 0.8 | 0 | -2.4 | -1.9 |
| 2016 | 2 | 0.6 | -0.2 | 0.4 | 0.5 | 0.8 | -0.9 | 0 | 0.1 | 0.1 | 0.6 | -0.4 | 3.5 |
| 2017 | 0.2 | 0.2 | 0.1 | 0.2 | -0.4 | 0.1 | 0.4 | -0.3 | 0.2 | 0 | -0.9 | -0.3 | -0.6 |
| 2018 | -1 | -0.9 | 0.9 | -0.3 | -0.6 | 0.8 | 0.9 | -0.4 | 0.9 | 0.2 | 2.4 | 0.5 | 3.2 |
| 2019 | 0.2 | 0.3 | 0.2 | 0.1 | -0.2 | -0.5 | -0.6 | 0.3 | 1.2 | 1.1 | 0.2 | -0.3 | 1.9 |
| 2020 | 0.4 | -7.1 | -7.4 | -3.5 | 4.2 | 3.6 | 0.7 | 0.9 | 0.7 | -0.6 | 1.1 | 1.7 | -5.8 |
| 2021 | 0.2 | -0.5 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-04-28 20 SPY 113. -0.0129 0.0013 0.002 -4.90e-3 0.229 -0.0771 -0.169 <NA> NA NA NA
2 2004-04-29 20 SPY 112. -0.0088 -0.0212 -0.0101 -1.45e-2 0.217 -0.0802 -0.181 <NA> NA NA NA
3 2004-04-30 20 SPY 111. -0.0078 -0.0297 -0.0189 -2.22e-2 0.207 -0.0991 -0.192 <NA> NA NA NA
4 2004-05-03 20.0 SPY 112. 0.0107 -0.018 -0.0143 -1.60e-2 0.203 -0.0935 -0.172 <NA> NA NA NA
5 2004-05-04 20 SPY 112. -0.0008 -0.0196 -0.0225 -1.51e-2 0.205 -0.109 -0.166 <NA> NA NA NA
6 2004-05-05 20 SPY 113. 0.0064 -0.0004 -0.0216 -6.00e-4 0.201 -0.0971 -0.154 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
